Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> definition, final int unit, final boolean withToday) {
    InstrumentDerivative ird;
    if (definition instanceof SwapFixedONDefinition) {
      ird = ((SwapFixedONDefinition) definition).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
    } else {
      if (definition instanceof SwapFixedIborDefinition) {
        ird = ((SwapFixedIborDefinition) definition).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit));
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    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFLATION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
          final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
          final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
          ird = new Swap<>(ird1, ird2);
        }
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
      final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
      final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
      ird = new Swap<>(ird1, ird2);
    }
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    final String usd = "Discounting USD";
    final String[] names = new String[] {eur, usd};
    final Forex fxNear = FX_NEAR_DEFINITION.toDerivative(REFERENCE_DATE, names);
    final Forex fxFar = FX_FAR_DEFINITION.toDerivative(REFERENCE_DATE, names);
    final ForexSwap fxSwapExpected = new ForexSwap(fxNear, fxFar);
    final InstrumentDerivative fxSwap = FX_SWAP_DEFINITION_FIN.toDerivative(REFERENCE_DATE, names);
    assertEquals(fxSwapExpected, fxSwap);
  }
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   */
  public void toDerivative() {
    final Forex fxNear = FX_NEAR_DEFINITION.toDerivative(REFERENCE_DATE);
    final Forex fxFar = FX_FAR_DEFINITION.toDerivative(REFERENCE_DATE);
    final ForexSwap fxSwapExpected = new ForexSwap(fxNear, fxFar);
    final InstrumentDerivative fxSwap = FX_SWAP_DEFINITION_FIN.toDerivative(REFERENCE_DATE);
    assertEquals(fxSwapExpected, fxSwap);
  }
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            break;
          }
          final Security security = strip.getSecurity();
          final String[] curveNamesForSecurity = curveCalculationConfig.getCurveExposureForInstrument(curveName, strip.getInstrumentType());
          final InstrumentDefinition<?> definition = _securityConverter.visit(security);
          InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesForSecurity, timeSeries);
          if (derivative != null) {
            if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
              final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
              InterestRateFutureTransactionDefinition unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
              unitNotional = unitNotional.withNewNotionalAndTransactionPrice(1, marketValue);
              InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
              unitNotionalDerivative = unitNotionalDerivative.accept(RateReplacingInterestRateDerivativeVisitor.getInstance(), marketValue);
              derivatives.add(unitNotionalDerivative);
              initialRatesGuess.add(1 - marketValue);
            } else {
              derivative = derivative.accept(RateReplacingInterestRateDerivativeVisitor.getInstance(), marketValue);
              derivatives.add(derivative);
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    // 1. Build the analytic derivative to be priced
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security);
    final InstrumentDefinition<?> defn = security.accept(_converter);
    final InstrumentDerivative derivative = defn.toDerivative(now);
    if (derivative.accept(LastTimeCalculator.getInstance()) < 0.0) {
      throw new OpenGammaRuntimeException("Equity option has already settled; " + security.toString());
    }

    // 2. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);
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      for (final String curveName : receiveCurveNames) {
        curveNames.add(curveName + "_" + receiveCurveSuffix);
      }
    }
    final String[] curveNamesArray = curveNames.toArray(new String[0]);
    final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesArray, timeSeries);
    final YieldCurveBundle payCurveBundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, payCurveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveBundle receiveCurveBundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, receiveCurveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveBundle bundle = new YieldCurveBundle(payCurveBundle);
    bundle.addAll(receiveCurveBundle);
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
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        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
      final Clock snapshotClock = executionContext.getValuationClock();
      final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
      final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final InstrumentDerivative derivative = getDerivative(target, now, timeSeries, definition);
      final FXMatrix fxMatrix = new FXMatrix();
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final Collection<Currency> currencies = FinancialSecurityUtils.getCurrencies(target.getTrade().getSecurity(), securitySource);
      final Iterator<Currency> iter = currencies.iterator();
      final Currency initialCurrency = iter.next();
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